Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0916
Annualized Std Dev 0.1559
Annualized Sharpe (Rf=0%) 0.5878

Row

Daily Return Statistics

Close
Observations 3386.0000
NAs 1.0000
Minimum -0.0934
Quartile 1 -0.0041
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0053
Maximum 0.0781
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0098
Skewness -0.3911
Kurtosis 8.3641

Downside Risk

Close
Semi Deviation 0.0072
Gain Deviation 0.0066
Loss Deviation 0.0078
Downside Deviation (MAR=210%) 0.0120
Downside Deviation (Rf=0%) 0.0070
Downside Deviation (0%) 0.0070
Maximum Drawdown 0.3750
Historical VaR (95%) -0.0146
Historical ES (95%) -0.0239
Modified VaR (95%) -0.0152
Modified ES (95%) -0.0292
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-05 2010-03-17 -0.3750 469 250 219
2020-02-18 2020-03-23 2020-09-02 -0.2596 139 25 114
2018-01-30 2018-12-24 2019-07-18 -0.1831 369 228 141
2011-05-20 2011-08-10 2012-03-05 -0.1431 198 57 141
2016-07-11 2016-12-01 2017-06-05 -0.1129 228 102 126

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA -0.4 -0.1 -0.4
2007 0.6 -2.7 -0.2 -0.4 0.5 1 0.2 0.5 0.1 -2.1 0.7 -0.7 -2.4
2008 1.6 -2 -1 0 0 -0.1 -0.9 -0.6 1 3.4 -2 1.6 0.9
2009 -0.8 -2.6 0.8 0.1 3.1 2.1 -0.8 -0.9 -0.7 -1.3 1.7 -0.3 0.3
2010 -0.3 -0.1 0.5 0.2 -0.5 0 0.4 1.4 0.3 -0.4 1.8 0 3.2
2011 0.5 -1 0.7 0.6 -0.9 0.9 -0.8 -0.6 -1.3 -1.6 -0.1 -0.6 -4.3
2012 1 0.1 0.4 -0.1 -2.5 3.3 -0.5 0.5 0.6 0.3 0.5 1.3 4.8
2013 0.6 0.1 -0.2 -0.4 -1.7 0.1 1 0.1 0.6 0.1 -0.4 0 -0.2
2014 0.3 0.8 0.2 -0.4 0.6 0.2 0.8 -0.1 -0.9 1.1 -0.6 -1.5 0.4
2015 -2 0.4 -0.1 1.2 -0.2 1 0.6 -2.2 -0.1 -0.8 1 -1.1 -2.4
2016 0.8 0.6 1.2 0.1 0.8 -0.4 -0.1 -0.4 0.9 -0.5 -0.8 -0.6 1.7
2017 -0.7 0.5 0 -0.5 0.9 0.2 -0.1 0.5 0.3 0.4 0.1 -0.1 1.4
2018 -0.6 -0.6 1.1 -0.7 -0.1 -0.1 -0.8 0.3 -0.2 1.3 0.2 0.4 0.1
2019 -0.5 0 -0.4 -1.4 -1 -0.1 0.1 0.2 -0.5 0.1 -0.2 0.3 -3.3
2020 -1.2 -2.8 -2 -1.8 0.8 -0.2 -0.1 -0.8 0.1 -0.5 1 0.7 -6.7
2021 -0.1 0.7 0.3 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart